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IM_FX_CurvatureMargin
| Description |
Margin aggregation from FX curvature sensitivities |
| Notation |
$CurvatureMargin_{RiskClass}$ |
| Formula |
$$CurvatureMargin =max\left ( \sum_{b,k} CVR_{b,k} + \lambda \cdot \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c}^2 \cdot S_{b} \cdot S_{c}}} ,0 \right )$$ |